Nov 07

Surplus at risk (SaR) – 5 min briefcast

by David Harper, CFA, FRM, CIPM

Here is a brief review of calculating surplus at risk (SaR) for a pension fund. This example is from FRM 2008 sample practice exam (question 37) and the analytics are different than illustrated in Jorion. In this approach, the estimation of SaR is essentially the same as calculating diversified portfolio value at risk (VaR) where the portfolio includes a long position in its assets and a short position in its liabilities.

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